Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0467
Annualized Std Dev 0.2748
Annualized Sharpe (Rf=0%) 0.1699

Row

Daily Return Statistics

Close
Observations 5215.0000
NAs 1.0000
Minimum -0.2061
Quartile 1 -0.0058
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0068
Maximum 0.1633
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0173
Skewness -0.1747
Kurtosis 19.4177

Downside Risk

Close
Semi Deviation 0.0124
Gain Deviation 0.0135
Loss Deviation 0.0145
Downside Deviation (MAR=210%) 0.0165
Downside Deviation (Rf=0%) 0.0123
Downside Deviation (0%) 0.0123
Maximum Drawdown 0.7651
Historical VaR (95%) -0.0218
Historical ES (95%) -0.0419
Modified VaR (95%) -0.0222
Modified ES (95%) -0.0222
From Trough To Depth Length To Trough Recovery
2007-02-08 2009-03-06 2019-10-18 -0.7651 3197 523 2674
2020-02-18 2020-03-23 NA -0.4232 276 25 NA
2002-04-15 2002-10-09 2003-07-30 -0.2071 327 125 202
2004-04-02 2004-05-10 2004-09-07 -0.1884 108 26 82
2001-08-22 2001-10-24 2002-04-05 -0.1439 152 41 111

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA 0 2.1 -0.6 -0.2 0.4 0.1 -0.8 0.9
2001 0.1 0.1 0.3 0.1 0.1 0.1 0.4 -0.3 -2.4 1.9 0.4 -0.6 0.3
2002 0.4 1 0.1 0.8 0.3 -0.6 -1.4 0.5 -0.3 0.6 0.2 0.7 2.3
2003 1.1 0.2 1.7 0.9 2.1 1.2 -0.4 0.6 0.7 -0.4 1.3 -0.7 8.5
2004 0.6 1.7 1.2 -0.3 -1.1 0.2 0.6 -0.3 2.3 1 2.1 -0.3 7.7
2005 1.5 0.9 0.3 1.2 1.4 0.9 -0.2 0.8 1.3 -1.7 1.4 -0.8 7.1
2006 0.5 0.5 0.3 -1.5 2.1 0.5 -0.5 -0.5 -0.1 -0.9 -0.2 -0.2 -0.1
2007 -0.1 -0.6 0.9 -0.5 0 -0.1 1.6 2 2.7 -3.6 0.9 0.3 3.3
2008 3.9 -1.7 4.9 2.4 -0.4 0.6 0.2 -1.1 -1.5 6.3 -20.6 4.8 -5.3
2009 -3.2 -1.5 -0.9 -3.4 4.2 1 0.1 -5.1 -4.2 -1.9 1.3 -1.9 -14.9
2010 1.8 1 0.5 -3.1 -1.9 -0.2 0.3 3.2 0.5 0.7 0.8 -0.1 3.3
2011 0.5 -2.7 0.2 -0.5 -2.8 1.8 -1.3 -1.7 -2.6 -3.4 -1 -0.5 -13.3
2012 0.7 0.5 0.8 0.9 -2.5 2.3 -0.3 0.4 -0.7 0.1 0.4 0.9 3.5
2013 0.7 0.2 0.3 -0.7 -1.2 -0.5 -0.6 -0.8 1.5 0.6 -0.9 -0.3 -1.7
2014 0.3 0.7 0.6 0.8 0.5 0.3 -0.2 0.5 0.1 0.8 -0.4 -1.5 2.3
2015 -1.6 0.7 0 0.5 1 1.5 0.6 -1.9 0.5 -0.7 1.2 -0.8 1
2016 0 2.6 0.1 -0.8 0.1 -0.1 0.4 -0.2 -0.5 -2.2 -1.6 0.9 -1.4
2017 -1.2 -0.3 0.5 0.6 0.4 0 0.4 0 0.1 0.1 0.2 0 0.8
2018 -1.7 -0.3 0 0.7 0.3 0.2 0.3 0.4 -0.8 0.4 1 0.3 0.9
2019 -0.7 -0.2 0 -0.1 0.4 0.3 -0.1 0.1 -1.1 -0.1 -0.3 0.6 -1
2020 -1.2 -3.1 -6.6 -3.4 2.3 2.2 -0.2 0.1 1.9 -0.7 1.1 1.1 -6.6
2021 2.4 0.3 -1.2 NA NA NA NA NA NA NA NA NA 1.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-06-19  35.0 SPY    148.  1.28e-2   0.0248   0.0324   0.0115   0.103        NA       NA <NA>     NA    NA       NA
2 2000-06-20  35.2 SPY    148. -3.60e-3   0.0023   0.0483  -0.0084   0.107        NA       NA <NA>     NA    NA       NA
3 2000-06-21  35.4 SPY    148. -6.00e-4   0        0.0556  -0.015    0.111        NA       NA <NA>     NA    NA       NA
4 2000-06-22  35.4 SPY    146. -1.50e-2  -0.0171   0.0553  -0.0451   0.103        NA       NA <NA>     NA    NA       NA
5 2000-06-26  34.9 SPY    146.  1.29e-2  -0.015    0.0609  -0.0375   0.0969       NA       NA <NA>     NA    NA       NA
6 2000-06-27  35.4 SPY    145. -7.40e-3  -0.0188   0.0519  -0.0391   0.0787       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart